This is a little bit trickier because there is no template for the header of a column. Instead you need to latch into the ItemCreated or ItemDataBound event of the grid, then programmatically add the DDL control to the column header's controls collection.
Although I've not actually done this, I think the best approach might be to add the control in the ItemCreated handler (because this will get called on postbacks when the grid is re-constituted from viewstate) and then populate the DDL's data in the grid's ItemDataBound event. No need to rebind data in each ItemCreated call.
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Peter